##### 



UNITED STATES SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-Q
 þ
    
    Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the quarterly period ended June 30, 2006
 or
 o
    
    Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the transition period from  to
 Commission File number: 0-33311
 CAMPBELL ALTERNATIVE ASSET TRUST
  Delaware
    
    
    
    52-1823554(State of Organization)
    
    
    
    (IRS Employer Identification Number)
 Baltimore, Maryland 21204
 (410) 296-3301
  þ o
  o o þ
  þ o




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1.
    
    Financial StatementsStatements of Financial Condition as of June 30, 2006 (Unaudited)
and December 31, 2005
    
    
    3Condensed Schedules of Investments as of June 30, 2006 (Unaudited)
and December 31, 2005
    
    
    4-5Statements of Operations for the Three Months and Six Months Ended
June 30, 2006 and 2005 (Unaudited)
    
    
    6Statements of Cash Flows for the Six Months Ended
June 30, 2006 and 2005 (Unaudited)
    
    
    7Statements of Changes in Unitholders Capital (Net Asset Value)
for the Six Months Ended June 30, 2006 and 2005 (Unaudited)
    
    
    8Notes to Financial Statements (Unaudited)
    
    
    9-15Item 2.
    
    Managements Discussion and Analysis of Financial Condition and Results of Operations
    
    
    16-21Item 3.
    
    Quantitative and Qualitative Disclosure About Market Risk
    
    
    22-27Item 4.
    
    Controls and Procedures
    
    
    27PART II  OTHER INFORMATION
    
    
    28Item 6.
    
    Exhibits and Reports on Form 8-K
    
    
    28SIGNATURESCERTIFICATIONS




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF FINANCIAL CONDITION
 June 30,
    
    
    December 31,2006
    
    
    2005ASSETSEquity in broker trading accountsCash
    
    $
    2,892,251
    
    
    $
    2,614,570United States government securities
    
    
    31,055,489
    
    
    
    27,349,932Unrealized gain (loss) on open futures contracts
    
    
    433,309
    
    
    
    (160,660
    )Total equity in broker trading accounts
    
    
    34,381,049
    
    
    
    29,803,842Cash and cash equivalents
    
    
    2,078,618
    
    
    
    7,388,416Restricted cash
    
    
    0
    
    
    
    1,873,271United
States government securities
    
    
    4,944,935
    
    
    
    2,480,344Net unrealized (loss) on open forward currency contracts
    
    
    (359,848
    )
    
    
    (1,324,864
    )Total assets
    
    $
    41,044,754
    
    
    $
    40,221,009LIABILITIESAccounts payable
    
    $
    37,092
    
    
    $
    58,305Brokerage fee
    
    
    49,922
    
    
    
    51,325Options written, at fair value (premiums received $11,687)
    
    
    16,510
    
    
    
    0Accrued commissions and other trading fees
on open contracts
    
    
    12,024
    
    
    
    13,418Performance fee payable
    
    
    0
    
    
    
    69,538Offering costs payable
    
    
    15,764
    
    
    
    16,208Redemptions payable
    
    
    201,438
    
    
    
    155,748Total liabilities
    
    
    332,750
    
    
    
    364,542UNITHOLDERS CAPITAL (Net Asset Value)Managing Owner  1,413.580 units outstanding
at June 30, 2006 and December 31, 2005
    
    
    2,373,203
    
    
    
    2,391,693Other Unitholders  22,836.248 and 22,143.118
units outstanding at June 30, 2006 and
December 31, 2005
    
    
    38,338,801
    
    
    
    37,464,774Total unitholders capital
(Net Asset Value)
    
    
    40,712,004
    
    
    
    39,856,467Total liabilities and unitholders capital (Net Asset Value)
    
    $
    41,044,754
    
    
    $
    40,221,009
  - 3 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES *
 Maturity
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Date
    
    Description
    
    Value
    
    
    Asset Value$
    14,000,000
    
    
    08/03/2006
    
    U.S. Treasury Bills
    
    $
    13,940,068
    
    
    
    34.24
    %10,000,000
    
    
    09/01/2006
    
    U.S. Treasury Bills
    
    
    9,919,935
    
    
    
    24.37
    %7,200,000
    
    
    07/06/2006
    
    U.S. Treasury Bills
    
    
    7,195,486
    
    
    
    17.67
    %5,000,000
    
    
    09/21/2006
    
    U.S. Treasury Bills
    
    
    4,944,935
    
    
    
    12.15
    %Total United States government securities
(cost, including accrued interest,  $36,000,424)
    
    $
    36,000,424
    
    
    
    88.43
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    113,157
    
    
    
    0.28
    %Metals
    
    
    2,815
    
    
    
    0.01
    %Stock index
    
    
    75,885
    
    
    
    0.18
    %Short-term interest rates
    
    
    (1,554
    )
    
    
    (0.00
    )%Long-term interest rates
    
    
    (56,122
    )
    
    
    (0.14
    )%Total long futures contracts
    
    $
    134,181
    
    
    
    0.33
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    13,310
    
    
    
    0.03
    %Metals
    
    
    (26,475
    )
    
    
    (0.07
    )%Stock index
    
    
    (46,166
    )
    
    
    (0.11
    )%Short-term interest rates
    
    
    259,835
    
    
    
    0.64
    %Long-term interest rates
    
    
    98,624
    
    
    
    0.24
    %Total short futures contracts
    
    $
    299,128
    
    
    
    0.73
    %Total futures contracts
    
    $
    433,309
    
    
    
    1.06
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (304,003
    )
    
    
    (0.74
    )%Various short forward currency contracts
    
    
    (55,845
    )
    
    
    (0.14
    )%Total forward currency contracts
    
    $
    (359,848
    )
    
    
    (0.88
    )%
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $11,687)
    
    $
    (16,510
    )
    
    
    (0.04
    )%
 
 *
    
    - pledged as collateral for the trading of futures and forward positions.  - 4 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES
 % of NetFace Value
    
    
    Maturity Date
    
    Description
    
    Value
    
    
    Asset Value$
    12,000,000
    
    
    02/02/2006
    
    U.S. Treasury Bills
    
    $
    11,959,253
    
    
    
    30.01
    %8,850,000
    
    
    03/02/2006
    
    U.S. Treasury Bills
    
    
    8,793,213
    
    
    
    22.06
    %6,600,000
    
    
    01/05/2006
    
    U.S. Treasury Bills
    
    
    6,597,466
    
    
    
    16.55
    %2,500,000
    
    
    03/16/2006
    
    U.S. Treasury Bills
    
    
    2,480,344
    
    
    
    6.22
    %Total United States government securities
(cost, including accrued interest,  $29,830,276)
    
    $
    29,830,276
    
    
    
    74.84
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (341,534
    )
    
    
    (0.85
    )%Metals
    
    
    16,060
    
    
    
    0.04
    %Stock index
    
    
    (24,368
    )
    
    
    (0.06
    )%Long-term interest rates
    
    
    9,552
    
    
    
    0.02
    %Total long futures contracts
    
    $
    ( 340,290
    )
    
    
    (0.85
    )%
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueStock Index
    
    $
    (11,765
    )
    
    
    (0.03
    )%Short-term interest rates
    
    
    222,468
    
    
    
    0.56
    %Long-term interest rates
    
    
    (31,073
    )
    
    
    (0.08
    )%Total short futures contracts
    
    $
    179,630
    
    
    
    0.45
    %Total futures contracts
    
    $
    (160,660
    )
    
    
    (0.40
    )%
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (1,016,334
    )
    
    
    (2.55
    )%Various short forward currency contracts
    
    
    (308,530
    )
    
    
    (0.77
    )%Total forward currency contracts
    
    $
    (1,324,864
    )
    
    
    (3.32
    )%
 
 *
    
    - pledged as collateral for the trading of futures and forward positions.  - 5 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF OPERATIONS
 Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2006
    
    
    2005
    
    
    2006
    
    
    2005TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    1,622,726
    
    
    $
    1,322,231
    
    
    $
    2,155,144
    
    
    $
    1,757,950Change in unrealized
    
    
    (750,639
    )
    
    
    536,772
    
    
    
    593,969
    
    
    
    644,334Brokerage commissions
    
    
    (19,322
    )
    
    
    (28,166
    )
    
    
    (40,674
    )
    
    
    (48,555
    )Net gain from futures trading
    
    
    852,765
    
    
    
    1,830,837
    
    
    
    2,708,439
    
    
    
    2,353,729Forward
currency and options on forward
currency trading gains (losses)Realized
    
    
    (2,363,950
    )
    
    
    1,108,263
    
    
    
    (3,723,157
    )
    
    
    (470,855
    )Change in unrealized
    
    
    (801,602
    )
    
    
    1,661,535
    
    
    
    960,193
    
    
    
    1,830,653Brokerage commissions
    
    
    (5,146
    )
    
    
    (2,109
    )
    
    
    (8,742
    )
    
    
    (5,146
    )Net gain (loss) from forward
currency and options on forward
currency trading
    
    
    (3,170,698
    )
    
    
    2,767,689
    
    
    
    (2,771,706
    )
    
    
    1,354,652Total net trading gains (losses)
    
    
    (2,317,933
    )
    
    
    4,598,526
    
    
    
    (63,267
    )
    
    
    3,708,381EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    485,796
    
    
    
    237,025
    
    
    
    921,059
    
    
    
    441,218ExpensesBrokerage fee
    
    
    293,767
    
    
    
    260,807
    
    
    
    590,231
    
    
    
    505,745Performance fee
    
    
    0
    
    
    
    129,054
    
    
    
    370,369
    
    
    
    129,054Operating expenses
    
    
    33,131
    
    
    
    15,670
    
    
    
    58,643
    
    
    
    31,083Total expenses
    
    
    326,898
    
    
    
    405,531
    
    
    
    1,019,243
    
    
    
    665,882Expenses net of interest income
    
    
    158,898
    
    
    
    (168,506
    )
    
    
    (98,184
    )
    
    
    (224,664
    )NET INCOME (LOSS)
    
    $
    (2,159,035
    )
    
    $
    4,430,020
    
    
    $
    (161,451
    )
    
    $
    3,483,717NET INCOME (LOSS) PER MANAGING
OWNER AND OTHER UNITHOLDERS
UNIT(based on weighted average number
of units outstanding during the period)
    
    $
    (89.15
    )
    
    $
    188.63
    
    
    $
    (6.72
    )
    
    $
    148.14INCREASE (DECREASE) IN NET ASSET
VALUE PER MANAGING OWNER
AND OTHER UNITHOLDERS UNIT
    
    $
    (93.11
    )
    
    $
    184.87
    
    
    $
    (13.08
    )
    
    $
    141.07
  - 6 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CASH FLOWS
 Six Months EndedJune 30,2006
    
    
    2005Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (161,451
    )
    
    $
    3,483,717Adjustments to reconcile net income (loss) to net cash
from (for) operating activitiesNet change in unrealized
    
    
    (1,554,162
    )
    
    
    (2,474,987
    )Options premium received
    
    
    11,687
    
    
    
    0Decrease in restricted cash
    
    
    1,873,271
    
    
    
    0Increase (decrease) in accounts payable and accrued expenses
    
    
    (93,548
    )
    
    
    63,096Net (purchases) of investments in United States
government securities
    
    
    (6,170,148
    )
    
    
    (6,564,653
    )Net cash (for) operating activities
    
    
    (6,094,351
    )
    
    
    (5,492,827
    )Cash flows from (for) financing activitiesAddition of units
    
    
    1,617,064
    
    
    
    1,114,549Redemption of units
    
    
    (367,997
    )
    
    
    (730,162
    )Offering costs charged
    
    
    (186,833
    )
    
    
    (158,811
    )Net cash from financing activities
    
    
    1,062,234
    
    
    
    225,576Net (decrease) in cash
    
    
    (5,032,117
    )
    
    
    (5,267,251
    )CashBeginning of period
    
    
    10,002,986
    
    
    
    12,046,260End of period
    
    $
    4,970,869
    
    
    $
    6,779,009End of period cash consists of:Cash in broker trading accounts
    
    $
    2,892,251
    
    
    $
    3,517,422Cash
    
    
    2,078,618
    
    
    
    3,261,587Total end of period cash
    
    $
    4,970,869
    
    
    $
    6,779,009
  - 7 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
 Unitholders CapitalManaging Owner
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountSix Months Ended June 30, 2006Balances at
December 31, 2005
    
    
    1,413.580
    
    
    $
    2,391,693
    
    
    
    22,143.118
    
    
    $
    37,464,774
    
    
    
    23,556.698
    
    
    $
    39,856,467Net (loss) for the six months
ended June 30, 2006
    
    
    
    
    
    
    (7,515
    )
    
    
    
    
    
    
    (153,936
    )
    
    
    
    
    
    
    (161,451
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    936.355
    
    
    
    1,617,064
    
    
    
    936.355
    
    
    
    1,617,064Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (243.225
    )
    
    
    (413,687
    )
    
    
    (243.225
    )
    
    
    (413,687
    )Offering costs
    
    
    
    
    
    
    (10,975
    )
    
    
    
    
    
    
    (175,414
    )
    
    
    
    
    
    
    (186,389
    )Balances at
June 30, 2006
    
    
    1,413.580
    
    
    $
    2,373,203
    
    
    
    22,836.248
    
    
    $
    38,338,801
    
    
    
    24,249.828
    
    
    $
    40,712,004Six Months Ended June 30, 2005Balances at
December 31, 2004
    
    
    1,413.580
    
    
    $
    2,122,335
    
    
    
    21,868.461
    
    
    $
    32,833,050
    
    
    
    23,282.041
    
    
    $
    34,955,385Net income for the six months
ended June 30, 2005
    
    
    
    
    
    
    209,027
    
    
    
    
    
    
    
    3,274,690
    
    
    
    
    
    
    
    3,483,717Additions
    
    
    0.000
    
    
    
    0
    
    
    
    742.487
    
    
    
    1,114,549
    
    
    
    742.487
    
    
    
    1,114,549Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (532.304
    )
    
    
    (808,814
    )
    
    
    (532.304
    )
    
    
    (808,814
    )Offering costs
    
    
    
    
    
    
    (9,613
    )
    
    
    
    
    
    
    (150,097
    )
    
    
    
    
    
    
    (159,710
    )Balances at
June 30, 2005
    
    
    1,413.580
    
    
    $
    2,321,749
    
    
    
    22,078.644
    
    
    $
    36,263,378
    
    
    
    23,492.224
    
    
    $
    38,585,127
 Net Asset Value per Managing Owner and Other Unitholders UnitJune 30,
    
    
    December 31,
    
    
    June 30,
    
    
    December 31,2006
    
    
    2005
    
    
    2005
    
    
    2004$
    1,678.86
    
    
    $
    1,691.94
    
    
    $
    1,642.46
    
    
    $
    1,501.39
  - 8 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 A.
    
    General Description of the TrustCampbell Alternative Asset Trust (the Trust) is a Delaware statutory trust
which operates as a commodity investment pool. The Trust was formed on May 3, 2000
and commenced trading on October 1, 2001. The Trust engages in the speculative
trading of futures contracts, forward currency contracts and options on forward
currency contracts.As of December 31, 2002, units are no longer offered to the public, but are offered
exclusively for sale to the Campbell & Company, Inc. 401(K) Plan (the 401(K) Plan).
At June 30, 2006, the 401(K) Plan held approximately 49.05% of the Trusts
outstanding units.B.
    
    RegulationAs a registrant with the Securities and Exchange Commission, the Trust is
subject to the regulatory requirements under the Securities Act of 1933 and the
Securities Exchange Act of 1934. As a commodity investment pool, the Trust is
subject to the regulations of the Commodity Futures Trading Commission, an agency of
the United States (U.S.) government which regulates most aspects of the commodity
futures industry; rules of the National Futures Association, an industry
self-regulatory organization; and the requirements of the various commodity exchanges
where the Trust executes transactions. Additionally, the Trust is subject to the
requirements of futures commission merchants (brokers) and interbank market makers
through which the Trust trades.C.
    
    Method of ReportingThe Trusts financial statements are presented in accordance with accounting
principles generally accepted in the United States of America, which may require the
use of certain estimates made by the Trusts management. Actual results may differ
from these estimates. Investment transactions are accounted for on the trade date.
Gains or losses are realized when contracts are liquidated. Unrealized gains and
losses on open contracts (the difference between contract trade price and market
price) are reported in the statement of financial condition as a net gain or loss, as
there exists a right of offset of unrealized gains or losses in accordance with
Financial Accounting Standards Board Interpretation No. 39  Offsetting of Amounts
Related to Certain Contracts. The market value of futures (exchange-traded)
contracts is determined by the various futures exchanges, and reflects the settlement
price for each contract as of the close of the last business day of the reporting
period. The market value of swap and forward currency (non-exchange traded)
contracts is extrapolated on a forward basis from the spot prices quoted as of 5:00
P.M. (E.T.) of the last business day of the reporting period or based on the market
value of its exchange-traded equivalent. The market value of option (non-exchange
traded) contracts is calculated by applying an industry-standard adaptation of the
Black-Scholes options valuation model to foreign currency options, using as input,
the spot prices, interest rates and option implied volatilities quoted as of 3:00
P.M. (E.T.) on the last business day of the reporting period. Any change in net
unrealized gain or loss from the preceding period is reported in the statement of
operations. Brokerage commissions include other trading fees and are charged to
expense when contracts are opened. United States government securities are stated at
cost plus accrued interest, which approximates market value.
 - 9 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 C.
    
    Method of Reporting (Continued)For purposes of both financial reporting and calculation of redemption value, Net
Asset Value per unit is calculated by dividing Net Asset Value by the number of
outstanding units.D.
    
    Income TaxesThe Trust prepares calendar year U.S. and applicable state information tax returns
and reports to the unitholders their allocable shares of the Trusts income, expenses
and trading gains or losses. No provision for income taxes has been made in the
accompanying financial statements as each unitholder is individually responsible for
reporting income or loss based on such unitholders respective share of the Trusts
income and expenses as reported for income tax purposes.E.
    
    Offering CostsCampbell & Company, Inc. (Campbell & Company) has incurred all costs in connection
with the initial and continuous offering of units of the Trust (offering costs).
Offering costs are charged to the Trust at a monthly rate of 1/12 of 0.9% (0.9%
annualized) of the Trusts month-end net asset value (as defined in the Amended and
Restated Declaration of Trust and Trust Agreement) until such amounts are fully
reimbursed. Such amounts are charged directly to unitholders capital. The Trust is
only liable for payment of offering costs on a monthly basis. At June 30, 2006 and
December 31, 2005, the Trust reflects a liability in the statement of financial
condition for offering costs payable to Campbell & Company of $15,764 and $16,208,
respectively.The offering costs for which Campbell & Company are being reimbursed relate to the
offering of units of the Trust to all unitholders except the 401(K) Plan. Therefore,
Campbell & Company rebates to the 401(K) Plan the offering costs charged to the
401(K) Plan. All such rebates are made by issuing additional units to the 401(K)
Plan.If the Trust terminates prior to completion of payment to Campbell & Company for the
unreimbursed offering costs incurred through the date of such termination, Campbell &
Company will not be entitled to any additional payments, and the Trust will have no
further obligation to Campbell & Company. At June 30, 2006 and December 31, 2005,
the amount of unreimbursed offering costs incurred by Campbell & Company is $495,169
and $592,663, respectively.F.
    
    Foreign Currency TransactionsThe Trusts functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities denominated in
currencies other than the U.S. dollar are translated into U.S. dollars at the rates
in effect at the date of the statement of financial condition. Income and expense
items denominated in currencies other than the U.S. dollar are translated into U.S.
dollars at the rates in effect during the period. Gains and losses resulting from
the translation to U.S. dollars are reported in income.
 - 10 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 H.
    
    ReclassificationCertain amounts in the 2005 financial statements were reclassified to conform with
the 2006 presentation.
 MANAGING OWNER AND COMMODITY TRADING ADVISOR
     TRUSTEE
  DEPOSITS WITH BROKER
  OPERATING EXPENSES
  - 11 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
   TRADING ACTIVITIES AND RELATED RISKS
      - 12 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
   Futures Contracts
    
    
    Forward Currency and Options on Forward(exchange traded)
    
    
    Currency Contracts (non-exchange traded)June 30,
    
    
    December 31,
    
    
    June 30,
    
    
    December 31,2006
    
    
    2005
    
    
    2006
    
    
    2005Gross unrealized gains
    
    $
    658,673
    
    
    $
    537,098
    
    
    $
    1,507,312
    
    
    $
    1,046,611Gross unrealized losses
    
    
    (225,364
    )
    
    
    (697,758
    )
    
    
    (1,871,983
    )
    
    
    (2,371,475
    )Net unrealized gain (loss)
    
    $
    433,309
    
    
    $
    (160,660
    )
    
    $
    (364,671
    )
    
    $
    (1,324,864
    )
   INDEMNIFICATIONS
  - 13 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 INTERIM FINANCIAL STATEMENTS
  - 14 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 FINANCIAL HIGHLIGHTS
  Three months ended
    
    
    Six months endedJune 30,
    
    
    June 30,2006
    
    
    2005
    
    
    2006
    
    
    2005Per Unit Performance(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    1,771.97
    
    
    $
    1,457.59
    
    
    $
    1,691.94
    
    
    $
    1,501.39Income (loss) from operations:Total trading gains (losses) (1)
    
    
    (95.84
    )
    
    
    195.54
    
    
    
    (1.23
    )
    
    
    157.44Expenses net of interest income (1)
    
    
    6.56
    
    
    
    (7.17
    )
    
    
    (4.09
    )
    
    
    (9.57
    )Total income (loss) from operations
    
    
    (89.28
    )
    
    
    188.37
    
    
    
    (5.32
    )
    
    
    147.87Offering costs (1)
    
    
    (3.83
    )
    
    
    (3.50
    )
    
    
    (7.76
    )
    
    
    (6.80
    )Net asset value per unit at end of period
    
    $
    1,678.86
    
    
    $
    1,642.46
    
    
    $
    1,678.86
    
    
    $
    1,642.46Total Return(3)
    
    
    (5.25
    )%
    
    
    12.68
    %
    
    
    (0.77
    )%
    
    
    9.40
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    3.14
    %
    
    
    3.08
    %
    
    
    3.15
    %
    
    
    3.04
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.36
    %
    
    
    0.90
    %
    
    
    0.37
    %Total expenses
    
    
    3.14
    %
    
    
    3.44
    %
    
    
    4.05
    %
    
    
    3.41
    %Expenses net of interest income (2), (4)
    
    
    (1.53
    )%
    
    
    0.44
    %
    
    
    (1.32
    )%
    
    
    0.54
    %
 Total returns are calculated based on the change in value of a unit during the period. An
individual unitholders total returns and ratios may vary from the above total returns and
ratios based on the timing of additions and redemptions.
 
 (1)
    
    Expenses net of interest income per unit and offering costs per unit
are calculated by dividing the expenses net of interest income and offering costs by
the average number of units outstanding during the period. Total trading gains
(losses) is a balancing amount necessary to reconcile the change in net asset value
per unit with the other per unit information.(2)
    
    Excludes performance fee.(3)
    
    Not annualized.(4)
    
    Annualized. - 15 -




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##### 



Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
           - 16 -




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##### 



i.e.
   Results of Operations
  2006
  - 17 -




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##### 



Sector
    
    % Gain (Loss)Interest Rates
    
    
    2.57
    %Metals
    
    
    2.16Stock Indices
    
    
    0.95Energy
    
    
    0.90Currencies
    
    
    (6.54
    )0.04
    %
     - 18 -




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##### 



2005
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    8.62
    %Currencies
    
    
    3.80Energy
    
    
    1.48Metals
    
    
    0.18Stock Indices
    
    
    (3.59
    )10.49
    %
 - 19 -




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##### 



- 20 -




---



##### 



Off-Balance Sheet Risk
    Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  - 21 -




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##### 



Item 3. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    Standard of Materiality
  Quantifying the Trusts Trading Value at Risk
 Quantitative Forward-Looking Statements
 The following quantitative disclosures regarding the Trusts market risk exposures
contain forward-looking statements within the meaning of the safe harbor from civil
liability provided for such statements by the Private Securities Litigation Reform Act of 1995
(set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities
Exchange Act of 1934). All quantitative disclosures in this section are deemed to be
forward-looking statements for purposes of the safe harbor, except for statements of
historical fact (such as the dollar amount of maintenance margin required for market risk
sensitive instruments held at the end of the reporting period).
  - 22 -




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##### 



The Trusts Trading Value at Risk in Different Market Sectors
  - 23 -




---



##### 



June 30, 2006TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    0.80
    %
    
    
    (6.54
    )%Long Interest Rates
    
    
    0.64
    %
    
    
    (0.73
    )%Short Interest Rates
    
    
    0.41
    %
    
    
    3.30
    %Metals
    
    
    0.36
    %
    
    
    2.16
    %Stock Indices
    
    
    0.30
    %
    
    
    0.95
    %Energy
    
    
    0.26
    %
    
    
    0.90
    %Aggregate/Total
    
    
    1.60
    %
    
    
    0.04
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the six months ended June 30, 2006, approximately 0.04% was due to
trading gains (before commissions), approximately 2.24% was due interest income offset by
approximately 3.05% due to brokerage fees, management fees, performance fees and operating
costs borne by the Trust giving a net return of (0.77)%. December 31, 2005TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.48
    %
    
    
    6.12
    %Long-Term Interest Rates
    
    
    0.79
    %
    
    
    1.89
    %Energy
    
    
    0.64
    %
    
    
    3.31
    %Short-Term Interest Rates
    
    
    0.62
    %
    
    
    4.76
    %Stock Indices
    
    
    0.38
    %
    
    
    (2.73
    )%Metals
    
    
    0.06
    %
    
    
    1.12
    %Aggregate/Total
    
    
    2.47
    %
    
    
    14.47
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the year ended December 31, 2005, approximately 14.47% was due to
trading gains (before commissions), approximately 2.94% was due interest income offset by
approximately 4.72% due to brokerage fees, performance fees and operating and offering costs
borne by the Trust giving a net return of 12.69%. - 24 -




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##### 



Material Limitations oF Value at Risk as an Assessment of Market Risk
  1)
    
    Past changes in market risk factors will not always result in accurate predictions of
the distributions and correlations of future market movements;
 2)
    
    Changes in portfolio value caused by market movements may differ from those of the VaR
model;
 3)
    
    VaR results reflect past trading positions while future risk depends on future
positions;
 4)
    
    VaR using a one day time horizon does not fully capture the market risk of positions
that cannot be liquidated or hedged within one day; and
 5)
    
    The historical market risk factor data for VaR estimation may provide only limited
insight into losses that could be incurred under certain unusual market movements.
  Non-Trading Risk
  Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Trusts market risk exposures 
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Trust manages its primary market risk exposures  constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section
21E of the Securities Exchange Act. The Trusts primary market risk exposures as well as the
strategies used and to be used by Campbell & Company for managing such exposures are subject
to numerous uncertainties, contingencies and risks, any one of which could cause the actual
results of the Trusts risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and expropriations, illiquid markets, the
emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other
factors could result in material losses as well as in material changes to the risk exposures
and the risk management strategies of the Trust. There can be no assurance that the Trusts
current market exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term. Investors must be
prepared to lose all or substantially all of their investment in the Trust.
 - 25 -




---



##### 



Currencies
 i.e.,
 Interest Rates
  Stock Indices
  Energy
  Metals
  - 26 -




---



##### 



Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  Item 4. Controls and Procedures
  - 27 -




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##### 



PART II-OTHER INFORMATION
 Item 1 Legal Proceedings
  Item 2 Changes in Securities and Use of Proceeds
  Item 3 Defaults Upon Senior Securities
  Item 4 Submissions of Matters to a vote of Security Holders
  Item 5 Other Information
  Item 6 Exhibits and Reports on Form 8-K
  ExhibitNumber
    
    Description of Document31.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.31.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.32.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
   - 28 -




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##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUST(Registrant)By:
    
    Campbell & Company, Inc.Managing OwnerDate: August 14, 2006
    
    
    
    By:
    
    /s/ Theresa D. Becks

Theresa D. BecksChief Financial Officer/Treasurer/Director
 - 29 -




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##### 



EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 231.02
    
    Certification by Chief Financial Officer
    
    E 332.01
    
    Certification by Chief Executive Officer
    
    E 432.02
    
    Certification by Chief Financial Officer
    
    E 5